How do I change the cursor and its size?

I would suggest you update your cursor theme and cursor size.

First in a terminal type:

sudo update-alternatives --config x-cursor-theme

Choose the number of the theme you want - e.g. 0 for DMZ-White

Changing the value here requires a reboot - a logout and login will not suffice.

Secondly, using dconf-editor (install using sudo apt-get install dconf-tools)

navigate to org.gnome.desktop.interface

change the cursor size to 24 and cursor theme to DMZ-White

For a command-line / automated way of doing it, try:

dconf write /org/gnome/desktop/interface/cursor-size 48

Works for me on Ubuntu 16.04.

In 18.04 LTS there is a new key. The following still works for me in 19.10 (I'll report back if it persists or not...)

gsettings set org.gnome.desktop.interface cursor-size 48

it's very clunky, but do-able.

1. Download your favorite cursor theme from Gnome Look or other sources, and untar it in the folder you downloaded.
   
2. Next, open a terminal and type sudo nautilus and a Root Nautilus will launch. BE VERY CAREFUL DELETING AND MOVING FILES IN IT
3. Now, go to your downloads folder (from the Root Nautilus you just opened) and copy the folder of the downloaded cursor theme (not the .tar archive)
4. After doing so, go to /usr/share/icons and paste the folder of the cursors. but don't close it just yet.
5. Within the 'icons' folder you'll see a 'default' folder - open it - and open the 'index.theme' file (in gedit, in-case it doesn't open automatically), and change the theme name to the name of the cursor folder you copied (for example: 'neutral'). save and close the file.
6. Almost done. Now install Gnome/Unity Tweak Tool and change the cursor theme within them. In the Gnome Tweak Tool it look like this:
7. Log out and log back in and you're set.

Truly Canonical and the Ubuntu community need to do some work for this in terms of End-User customization, but bottom line is that this works.